金融工程研究中心学术报告:Portfolio selection under median and quantile maximization

主  讲  人:香港中文大学 何雪冬教授

时       间:2021年9月30日(星期四)上午9:30--10:30

地       点: https://meeting.tencent.com/dm/ajwp3ZcKxVtW

主办单位: 金融工程研究中心

 

报告摘要:

Although maximizing median and quantiles is intuitively appealing and has an axiomatic foundation, it is difficult to study the optimal portfolio strategy due to the discontinuity and time inconsistency in the objective function.  We use the intra-personal equilibrium approach to study the problem. Interestingly, we find that the only viable outcome is from the median maximization, because for other quantiles either the equilibrium does not exist or there is no investment in the risky assets. The median maximization strategy gives a simple explanation to why wealthier people invest more percentage of their wealth in risky assets. This is a joint work with Zhaoli Jiang and Steven Kou.

 

主讲人简介:

Prof. Xuedong He received the B.Sc. degree in Mathematics and Applied Mathematics from Peking University in 2005 and the Ph.D. degree in Mathematical Finance from the University of Oxford in 2009. He was an assistant professor at Columbia University in 2009 – 2015 and joined the Chinese University of Hong Kong as an associate professor in 2016. Prof. He’s research interests include behavioral finance and economics, risk management, stochastic control, and financial technology. He has published papers in leading journals such as Management Science, Operations Research, Mathematical Finance, and Mathematics of Operations Research. He is serving as Associate Editors for Operations Research, Mathematics and Financial Economics, Operations Research Letters, and Digital Finance. He also organized clusters and sessions in international conferences such as the INFORMS Annual Meetings and SIAM Financial Mathematics and Engineering Conferences.

 

 


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